What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns
- 1 March 1993
- journal article
- Published by JSTOR in The Journal of Finance
- Vol. 48 (1) , 3-37
- https://doi.org/10.2307/2328880
Abstract
This paper uses a vector autoregressive model to decompose excess stock and 10-year bond returns into changes in expectations of future stock dividends, inflation, short-term real interest rates, and...Keywords
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